Motley Fool Innovative Growth Factor ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
16.76%
decreased by 0.96%
1 Week
16.94%
decreased by 0.78%
1 Month
17.31%
decreased by 0.41%
Analysis last updated: Monday, July 20, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 0.48) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1023 | 3.41*** |
α ARCH Response to squared shocks | 0.1190 | 7.57*** |
β GARCH Volatility persistence | 0.7766 | 20.41*** |
γ leverage Additional response to negative shocks | 0.4786 | 11.64*** |
Persistence:
0.896
Half-life:
6 days
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